3 Answers
3

I would say: it depends, namely on the style guide you have to use, or on the typographer you are relying on. Bringhurst, in his Elements of Typographic Style, writes (on page 60 in version 3.2):

When boldface is used to emphasize words, it is usually best to leave the punctuation in the background, which is to say, in the basic text font. It is the words, not the punctuation, that merit emphasis in a sequence such as the following:

… on the islands of Lombok, Bali, Flores, Timor and Sulawesi, the same textiles …

But if the same names are emphasized by setting them in italic rather than bold, there is no advantage in leaving the punctuation in roman. With italic text, italic punctuation normally gives better letterfit and thus looks less obtrusive:

… on the islands of Lombok, Bali, Flores, Timor and Sulawesi, the same textiles …

Regarding parentheses, Bringhurst states (on page 85 in version 3.2):

Use upright (i.e., “roman”) rather than sloped parentheses, brackets and braces, even if the context is italic.

Parentheses and brackets are not letters, and it makes little sense to speak of them as roman or italic. There are vertical parentheses and sloped ones, and the parentheses on italic fonts are almost always sloped, but vertical parentheses are generally to be preferred. That means they must come from the roman font, and may need extra spacing when used with italic letterforms.

(efg) (efg)

The sloped square brackets usually found on italic fonts are, if anything, even less useful than sloped parentheses. If, perish the thought, there were a book or film entitled The view from My [sic] Bed, sloped brackets might be useful as a way of indicating that the brackets and their contents are actually part of the title. Otherwise, vertical brackets should be used, no matter whether the text is roman or italic: “The View from My [sic] Bed” and “the view from my [sic] bed.”

Note that the spacing looks ugly here, but not in Bringhurst’s book …

I quoted from Bringhurst’s work in such length because I wanted to show the rationale behind his statements. Of course, other typographers might find other explanations and solutions, but I like Bringhurst’s.

In Lamport's LaTeX manual there is an emphasis example on page 16 not including the final period: Here is some silly \emph{emphasized text}. So I guess it is standard to not include the punctuation mark, unless you emphasize a complete sentence with interspersed commas and final period.